The effects of selenium biofortification methods involving sodium selenite and selenium yeast on the structural characteristics, antioxidant activity and binding capacity of Pleurotus eryngii polysaccharides were investigated. Sodium selenite Se-enriched Pleurotus eryngii polysaccharides (Se-SPEP), selenium yeast Se-enriched Pleurotus eryngii polysaccharides (Se-YPEP), and Pleurotus eryngii polysaccharides (PEP) had Se contents of 20.548 ± 1.561, 19.822 ± 0.613, and 0.052 ± 0.016 μg/g, respectively. Compared with PEP, Se-SPEP and Se-YPEP had lower molecular weight and contained the same monosaccharides in varying molar ratios. The results of FT-IR, PS, ZP, and SEM indicated significant alterations in structural characteristics following selenium biofortification. Se-PEPs exhibited superior activity against ABTS, DPPH, and ·OH radicals, as well as the higher binding capacity for Cd2+ and Cu2+ compared to natural polysaccharides. The binding capacity of the polysaccharides for Cd2+ and Cu2+ was higher at pH 6.8 compared to pH 2.0, while the opposite was observed for Pb2+. Furthermore, Se-PEPs exhibited a significantly higher binding capacity for Cd2+ and Cu2+ at both pH levels compared to natural polysaccharides (P < 0.05). Se-YPEP displayed higher antioxidant activity than Se-SPEP, with their binding capacities reversed. These data indicated that selenium biofortification methods have different positive impacts on the structure and activity of polysaccharides compared to natural polysaccharides, making Se-PEPs promising dietary supplements for safeguarding the body against the risks posed by food-derived heavy metals.